共偏度增强动量

登录后收藏

学术论文

共偏度与动量收益反转:美国与国际证据

作者Liang Dong; Yiqing Dai; Tariq H. Haque; Hung Wan Kot; Takeshi Yamada

机构
  • University of Macau
  • Hunan University of Technology
  • Hunan University of Technology and Business
  • University of Macau - Faculty of Business Administration
  • University of Adelaide
  • Research Network (United States)
  • Financial Research Network (FIRN)
  • University of Macau - Department of Finance and Business Economics
  • Australian National University
  • Australian National University (ANU)

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:SPY、BIL。再平衡:每月。Universe: SPY, BIL. Parameters: rebalance=monthly.